Archiving the March Trades... (4/4)
Thursday, March 31, 2011
Wednesday, March 30, 2011
Short
As stated below, I got another short signal today. I have more confidence in this signal as it was produced using healthy market rules, as opposed to unhealthy rules which produce short signals easier. In the box on the left, you'll notice the market flipped to "healthy" today which signals an intermediate trend change and switches the system back into "buy the dip" mode. I maxed out my short position to 100% (I was 80%). Yes, I am crazy! :-D
Market Health
The health of the market is a major factor in determining buy and sell signals in my system. My system flipped the market status to "unhealthy" on Feb 23rd. At that point, different code is used to determine the signals. In theory, there should be more sell signals than buys. That is certainly what we are seeing now. The problem is that the market is acting healthy when my system thinks it should be unhealthy.
For fun, I decided to use "healthy" signals going back to the bottom on Mar 16. Here are the results:
Mar 16: Hold
Mar 17: Buy TNA 71.28
Mar 18: Hold
Mar 21: Sell TNA 79.08
Mar 22: Hold
Mar 23: Buy TNA 78.55
Mar 24: Hold
Mar 25: Hold
Mar 28: Buy more TNA 81.78
Mar 29: Hold
Mar 30: Short TNA 86.85 (currently)
A couple things to note. Today is the first short signal since the bottom. While that can't help me since I'm already short, it may help someone else who is long or not yet short. Confidence is higher with this signal, as it's much harder to get a short signal using the uptrending, aka healthy, rules. The other observation is that my system is quite good as shown by the signals above if it could just do a better job of determining when the market flips back to healthy mode. I'm quite happy with how it flips to unhealthy status, but I've never really liked using that same method for the rebound. Perhaps there are some other options I'm going to have to research.
The first and most obvious thing to look at would be whether we are back above the 50 day moving average. We moved above it Mar 24th. Another alternative may be volume based. On Mar 16, there was a huge volume spike on SPY perhaps indicating capitulation. A third option may be using a moving VWAP line in conjunction with a moving linear regression line. I'll do some research and backtesting over the next few weeks and see what I can come up with. As I stated in an earlier post, the transition from unhealthy to healthy has haunted me in the past (December was the most recent) and I'm sure it will happen again if something is not done to fix it. Otherwise, I'm quite pleased with my system's performance.
For fun, I decided to use "healthy" signals going back to the bottom on Mar 16. Here are the results:
Mar 16: Hold
Mar 17: Buy TNA 71.28
Mar 18: Hold
Mar 21: Sell TNA 79.08
Mar 22: Hold
Mar 23: Buy TNA 78.55
Mar 24: Hold
Mar 25: Hold
Mar 28: Buy more TNA 81.78
Mar 29: Hold
Mar 30: Short TNA 86.85 (currently)
A couple things to note. Today is the first short signal since the bottom. While that can't help me since I'm already short, it may help someone else who is long or not yet short. Confidence is higher with this signal, as it's much harder to get a short signal using the uptrending, aka healthy, rules. The other observation is that my system is quite good as shown by the signals above if it could just do a better job of determining when the market flips back to healthy mode. I'm quite happy with how it flips to unhealthy status, but I've never really liked using that same method for the rebound. Perhaps there are some other options I'm going to have to research.
The first and most obvious thing to look at would be whether we are back above the 50 day moving average. We moved above it Mar 24th. Another alternative may be volume based. On Mar 16, there was a huge volume spike on SPY perhaps indicating capitulation. A third option may be using a moving VWAP line in conjunction with a moving linear regression line. I'll do some research and backtesting over the next few weeks and see what I can come up with. As I stated in an earlier post, the transition from unhealthy to healthy has haunted me in the past (December was the most recent) and I'm sure it will happen again if something is not done to fix it. Otherwise, I'm quite pleased with my system's performance.
Tuesday, March 29, 2011
Short
3:40pm: Another short signal is on tap. I will increase my short position again on the close.
11:30am: The early buy signal prompted me to cover half my shorts at TNA 81. I am still 50% short. The system is generating a hold signal currently, and unless the market takes another dump this afternoon, it probably won't change.
10:04am: We have a potential buy signal shaping up. Will update later with more info.
11:30am: The early buy signal prompted me to cover half my shorts at TNA 81. I am still 50% short. The system is generating a hold signal currently, and unless the market takes another dump this afternoon, it probably won't change.
10:04am: We have a potential buy signal shaping up. Will update later with more info.
Monday, March 28, 2011
Hold
4:04pm: Hold confirmed. Will likely see further weakness in the coming days...
Today's Signal: Currently it's a hold. I will update if anything changes. If you don't see an update prior to the close, nothing changed. If SPX finishes in the red today, there is a decent chance of downside the rest of the week.
Today's Signal: Currently it's a hold. I will update if anything changes. If you don't see an update prior to the close, nothing changed. If SPX finishes in the red today, there is a decent chance of downside the rest of the week.
Friday, March 25, 2011
Hold
5pm: Weakness during the 2nd half of the session was welcomed. It also turned the short signal I was seeing earlier into a "hold". The end of March is typically weak, so hopefully next week provides a decent exit opportunity for my shorts along with a system buy signal. Have a good weekend all!
Morning post: I'm getting a third short signal, not that it matters as the system is already all in, but just FYI.
This has always been the one area where my system struggles: in an unhealthy market (which basically means down trending) where we see a lot of strength, my system tries to sell the rally. The problem is, these post weakness rallies recently (sept and dec '10) have been remarkably strong. So if this is just like previous rallies we should be seeing new highs soon. I'll be looking to exit the shorts on the next dip (hopefully there is one) and go long. Target 1350-1360!
Morning post: I'm getting a third short signal, not that it matters as the system is already all in, but just FYI.
This has always been the one area where my system struggles: in an unhealthy market (which basically means down trending) where we see a lot of strength, my system tries to sell the rally. The problem is, these post weakness rallies recently (sept and dec '10) have been remarkably strong. So if this is just like previous rallies we should be seeing new highs soon. I'll be looking to exit the shorts on the next dip (hopefully there is one) and go long. Target 1350-1360!
Thursday, March 24, 2011
Short confirmed.
4pm: Official signal is a 2nd short signal... by an eyelash. It's usually never that close. I'll be adding more shorts in the morning. Hopefully I get a little gap up to get a better price. (Of course, I'd be happier with a huge gap and go downward!) For tracking system stats, I'll just use today's closing price.
3:55pm: Still too close to call between a hold and a short signal. Since it has little bearing right now, I'll just post the official signal after the close. If it's a second short signal, I'll just enter the trade in the morning.
1:47pm: The system is flipping between short and hold. I'm guessing it will settle on a hold signal sometime soon, but I'll update in a bit either way. .
10:42am: It's early of course, but I'm getting a second short signal. This would push the system "all-in" short. (See the very bottom of this page for how I account for this when calculating my stats on the left side of the page.) In a nutshell, the first new signal initiates with a 50% position. This leaves 50% in cash. If a second signal appears of the same sign, such as today, it will throw the other 50% into the market. This will cut gains in half if there is only 1 signal before an opposing signal since 50% was sitting in cash. However, like we saw last week when there were 2 consecutive buy signals, it lowered the cost basis of the original position and maximized gains by going all in at a better price.
3:55pm: Still too close to call between a hold and a short signal. Since it has little bearing right now, I'll just post the official signal after the close. If it's a second short signal, I'll just enter the trade in the morning.
1:47pm: The system is flipping between short and hold. I'm guessing it will settle on a hold signal sometime soon, but I'll update in a bit either way. .
10:42am: It's early of course, but I'm getting a second short signal. This would push the system "all-in" short. (See the very bottom of this page for how I account for this when calculating my stats on the left side of the page.) In a nutshell, the first new signal initiates with a 50% position. This leaves 50% in cash. If a second signal appears of the same sign, such as today, it will throw the other 50% into the market. This will cut gains in half if there is only 1 signal before an opposing signal since 50% was sitting in cash. However, like we saw last week when there were 2 consecutive buy signals, it lowered the cost basis of the original position and maximized gains by going all in at a better price.
Wednesday, March 23, 2011
Hold confirmed.
4pm: Hold signal confirmed.
3:27pm: It's coming into focus. Looks like a "hold".
1:52pm: It's one of those days again. The system appears very confused... Flipping from Buy to Hold to Sell to Cover in no particular order.
11:12am: Currently, the system is creating a hold signal. We are close a buy signal, however. I will update later.
3:27pm: It's coming into focus. Looks like a "hold".
1:52pm: It's one of those days again. The system appears very confused... Flipping from Buy to Hold to Sell to Cover in no particular order.
11:12am: Currently, the system is creating a hold signal. We are close a buy signal, however. I will update later.
Tuesday, March 22, 2011
Hold - Confirmed
355pm: The official signal is to continue holding a short position in TNA (or long in TZA). I'm in short at TNA 79.
1230p: Even though I'm short right now (60% short, 40% cash) I'm actually feeling quite bullish. That's probably normal after such a huge up-day yesterday.
My instincts are almost always wrong anyway so being short is probably the right trade. Still I was hoping for a buy signal today so I could act on these feelings. Looks like I'm not going to get it. If anything we may see another "sell" signal today.
I'm 50% long, 50% cash in my retirement account, so if my bullish intuition turns out to be correct, at least I'll make some money somewhere.
1230p: Even though I'm short right now (60% short, 40% cash) I'm actually feeling quite bullish. That's probably normal after such a huge up-day yesterday.
My instincts are almost always wrong anyway so being short is probably the right trade. Still I was hoping for a buy signal today so I could act on these feelings. Looks like I'm not going to get it. If anything we may see another "sell" signal today.
I'm 50% long, 50% cash in my retirement account, so if my bullish intuition turns out to be correct, at least I'll make some money somewhere.
Monday, March 21, 2011
Short confirmed
4pm: Short signal is confirmed. I feel comfortable shorting here as long as we stay below the 50 day MA.
12:42: System is advising selling longs and going short.
10:30am: A poor attempt at a gap fill by the bears in the first hour. Probably means we'll close near the high of the day.
10am: Well, a great weekend is capped off! My limit sell order at TNA 78 was hit this morning (i like round numbers), so I am no longer long. That doesn't mean I think we're done going up, just that I'm happy to not be greedy. As for my system, I am getting a sell signal. I will update later in the day whether that flips to a short signal or back to a hold. If it does indeed flip back to a hold, I may order up another serving of TNA. :) We'll see. Happy trading all!
12:42: System is advising selling longs and going short.
10:30am: A poor attempt at a gap fill by the bears in the first hour. Probably means we'll close near the high of the day.
10am: Well, a great weekend is capped off! My limit sell order at TNA 78 was hit this morning (i like round numbers), so I am no longer long. That doesn't mean I think we're done going up, just that I'm happy to not be greedy. As for my system, I am getting a sell signal. I will update later in the day whether that flips to a short signal or back to a hold. If it does indeed flip back to a hold, I may order up another serving of TNA. :) We'll see. Happy trading all!
Friday, March 18, 2011
Hold
EOD Summary: Today was a complex day for the system to interpret. Part of the system was trying to sell the strength today in an unhealthy market, but another aspect was still trying to buy the dip we are in. Other components were neutral. All of this added up to a "hold". With 2 previous buy signals, I am already carrying a large enough long position into the weekend. Have a good weekend all, and thanks for reading.
3:59pm: Hold signal confirmed.
2:38pm: In the past 30 mins, I've seen the model flip from sell to hold to buy. Currently, as I type this, it continues to say go long. Or in this case, add more to your long position. Who am I to argue? :) I will update later with the official signal.
3:59pm: Hold signal confirmed.
2:38pm: In the past 30 mins, I've seen the model flip from sell to hold to buy. Currently, as I type this, it continues to say go long. Or in this case, add more to your long position. Who am I to argue? :) I will update later with the official signal.
Thursday, March 17, 2011
Buy #2 confirmed.
3:49pm: A surprising new buy signal just popped up. The hold signal is no longer valid and I will be adding to my long position.
11:59am: Today is most likely a hold day. It's a solid signal which I doubt will change unless something dramatic happens this afternoon.
11:59am: Today is most likely a hold day. It's a solid signal which I doubt will change unless something dramatic happens this afternoon.
Wednesday, March 16, 2011
Hold
2:20pm. That didn't take long. There will be no 2nd buy signal today. The official signal is now "hold". I'm not sure where we bottom out. I'm guessing SPX 1230 to 1240, maybe we just did at 1249?
2:15pm: Right now, we are getting a strong buy signal. However, if we dip below the current SPX low of 1251.31 this afternoon, the buy signal will be invalidated and forced back to a "hold", perhaps suggesting lower prices ahead...
11:16am: Looks like we are on track for a 2nd buy signal in the past 3 days. I will be increasing my long position should the signal hold into the close.
2:15pm: Right now, we are getting a strong buy signal. However, if we dip below the current SPX low of 1251.31 this afternoon, the buy signal will be invalidated and forced back to a "hold", perhaps suggesting lower prices ahead...
11:16am: Looks like we are on track for a 2nd buy signal in the past 3 days. I will be increasing my long position should the signal hold into the close.
Tuesday, March 15, 2011
Worldwide selloff
11:12am: Today's system signal will be a "hold". Anymore weakness this week, and we'll likely get another "buy" signal - in which case, I will double down on my long position. I expect some strength in the next week or two with a return trip back up to the 50day MA around SPX 1300.
10:35am: While the first hour trade was profitable, we didn't make a half gap fill. This is probably a bad sign for the rest of the day.
8:41am: With futures wayyy down, here are some things to consider. Large gaps like what we're about to see will usually fill about halfway in the first hour. For day traders, going long at the open and selling at 10:30ET is usually profitable. If we don't fill at least half the gap by 1030, watch for the market to continue to sink all day. If today turns into flash crash II, which I doubt, set buy orders at the 200 day MA, sit back for a few days as short covering rally ensues. Good luck all.
10:35am: While the first hour trade was profitable, we didn't make a half gap fill. This is probably a bad sign for the rest of the day.
8:41am: With futures wayyy down, here are some things to consider. Large gaps like what we're about to see will usually fill about halfway in the first hour. For day traders, going long at the open and selling at 10:30ET is usually profitable. If we don't fill at least half the gap by 1030, watch for the market to continue to sink all day. If today turns into flash crash II, which I doubt, set buy orders at the 200 day MA, sit back for a few days as short covering rally ensues. Good luck all.
Monday, March 14, 2011
Buy
3:58pm: Buy confirmed.
3:15pm: The buy signal has been holding strong all day. I suspect it will last into the close.
11:42am: It looks good for a buy signal today. I sold my TZA for a 2 point gain (limit 42.75), and I'm back in cash. Should the buy signal hold into the close, I will be going long TNA with 50% of my account. Will update prior to 4pm.
3:15pm: The buy signal has been holding strong all day. I suspect it will last into the close.
11:42am: It looks good for a buy signal today. I sold my TZA for a 2 point gain (limit 42.75), and I'm back in cash. Should the buy signal hold into the close, I will be going long TNA with 50% of my account. Will update prior to 4pm.
Friday, March 11, 2011
Hold
3:58pm: Official signal is "hold". System is out of the market through the weekend. I took another small short position at TNA 77 (actually bought TZA at 40.75 since there were no shares for shorting...). Like yesterday, it was more out of impatience than anything else. Trying to make some money until I get a buy signal.
12:08pm: Ok, the buy signal is gone and I'm getting a sell signal. Since the system is already out of the market, this makes little sense - except to reinforce the fact that we may not be done going down. Anyone looking to go long should do so with caution. Unless something changes (and it probably will), I'll remain on the sidelines through the weekend. I don't anticipate getting a short signal, but stranger things have happened.
10:55am: System flipped to a buy. We'll see if it holds through 4pm.
10:37am: We may get a buy signal today. If the market closed right now, it would be a "hold", meaning my system is forecasting lower prices still. But if a few things change just slightly, we'll get a buy. I will update in a bit.
PS- Covered my TNA position on the open, so I'm back to 100% cash.
12:08pm: Ok, the buy signal is gone and I'm getting a sell signal. Since the system is already out of the market, this makes little sense - except to reinforce the fact that we may not be done going down. Anyone looking to go long should do so with caution. Unless something changes (and it probably will), I'll remain on the sidelines through the weekend. I don't anticipate getting a short signal, but stranger things have happened.
10:55am: System flipped to a buy. We'll see if it holds through 4pm.
10:37am: We may get a buy signal today. If the market closed right now, it would be a "hold", meaning my system is forecasting lower prices still. But if a few things change just slightly, we'll get a buy. I will update in a bit.
PS- Covered my TNA position on the open, so I'm back to 100% cash.
Thursday, March 10, 2011
Hold
4pm: Well, I decided against going long and took a small short position at TNA 76. I'm thinking we go a bit lower tomorrow and then possibly get a buy signal.
11:15am: There will be no official buy or short signal today. However, some components of my system are hinting that a long trade might be profitable. I might take a small gamble with some TNA later today, perhaps using about 10% of my account. Currently, I'm 100% cash.
11:15am: There will be no official buy or short signal today. However, some components of my system are hinting that a long trade might be profitable. I might take a small gamble with some TNA later today, perhaps using about 10% of my account. Currently, I'm 100% cash.
Wednesday, March 9, 2011
Hold
Much like me, the system is indecisive on which direction the market will break when it finally breaks out of this consolidation pattern. It is generating another hold signal today, suggesting that waiting on the sidelines is the prudent thing to do. If I had to guess, I would bet we'll break to the upside... which probably means we'll break down. Either way the market is coiled, and the resulting move will probably be violent.
Tuesday, March 8, 2011
Hold
4:05pm: Just missed it! It was a close one, but when all was said and done, we ended up with another hold signal. Sitting 100% cash.
2:59 post:
If we finish fairly strong, I think we'll see a short signal at the close. The threshold is right around 132.70 for SPY. Any finish above this mark, we'll get the short. Anything below, and we'll get another hold signal.
2:59 post:
If we finish fairly strong, I think we'll see a short signal at the close. The threshold is right around 132.70 for SPY. Any finish above this mark, we'll get the short. Anything below, and we'll get another hold signal.
Monday, March 7, 2011
Friday, March 4, 2011
Hold
Almost a buy signal today, but it's a hold. The system will remain out of the market through the weekend .
Thursday, March 3, 2011
Wednesday, March 2, 2011
Sell
The system waffled a lot today, but ended up settling on a sell signal. Once again, I am out of the market.
Tuesday, March 1, 2011
Buy signal
3:45pm: The buy signal will indeed last into the close. Confidence is not that high, so I'll only be taking a smallish long position. Good luck all!
1:15ET: Looks like we're heading for a buy signal today. I will update prior to the close.
1:15ET: Looks like we're heading for a buy signal today. I will update prior to the close.
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